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Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids
Andersen, Leif - In: Credit derivatives : the definitive guide, (pp. 339-369). 2004
Persistent link: https://www.econbiz.de/10002799000
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A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif B. G. - In: International journal of theoretical and applied finance 11 (2008) 2, pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
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Modern computational finance : AAD and parallel simulations with professional implementation in C++
Savine, Antoine - 2019
Persistent link: https://www.econbiz.de/10011904952
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Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties
Andersen, Leif; Dickinson, Andrew - In: The journal of financial market infrastructures 7 (2019) 4, pp. 27-70
Persistent link: https://www.econbiz.de/10012104989
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American options with stochastic dividends and volatility : a nonparametric investigation
Broadie, Mark (contributor) - In: Journal of econometrics 94 (2000) 1/2, pp. 53-92
Persistent link: https://www.econbiz.de/10001437745
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Pricing and hedging volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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Model specification and risk premia : evidence from futures options
Broadie, Mark; Chernov, Mikhail; Johannes, Michael - In: The journal of finance : the journal of the American … 62 (2007) 3, pp. 1453-1490
Persistent link: https://www.econbiz.de/10003477372
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Recent advances in numerical methods for pricing derivative securities
Broadie, Mark; Detemple, Jérôme B. - In: Numerical methods in finance, (pp. 43-66). 2008
Persistent link: https://www.econbiz.de/10003723883